Note: Estimates appear in italics. All performance data is since program inception.

Strategy Description

EMC is a systematic global macro investment management firm founded in 1988. EMC's Classic Program seeks to provide long-term positive returns with low correlation to equity, fixed income and hedge fund portfolios. EMC employs quantitative, systematic trading models across a broad range of liquid global financial and commodity markets. Sectors traded include stock indices, currencies, financial futures, precious and base metals, energies, agricultural and soft commodities. EMC's portfolio features a significant 40% allocation to commodity futures and 60% to financial futures. The Classic Program employs multiple proprietary independent trading systems that range in duration from 15 to 90 days. Individual systems are trend following and momentum based in nature and are designed to capture directional price movement over different time frames and under different market conditions. EMC actively manages risk at every level of the portfolio using current market volatility, account equity, correlations and other portfolio components to quantify and limit risk at the trade, market, sector and portfolio levels.

Performance Statistics

Date Range: 12/89 - 04/19

Program

S&P 500

Altegris 40

Total Return

1167.05%

1492.19%

559.75%

Annualized Return

9.02%

9.87%

6.64%

Annualized Std. Deviation

27.64%

14.21%

11.14%

Correlation

-0.13

0.72

Sharpe Ratio (rf=2.5%)

0.24

0.52

0.37

Worst Month

-19.30%

-16.79%

-8.16%

Date of Worst Month

07/1995

10/2008

01/1992

Worst Drawdown

-45.16%

-50.95%

-15.74%

Date of Worst Drawdown

5/95 - 5/96

10/07 - 2/09

4/11 - 9/13

Note: Estimates appear in italics. All performance data is since program inception.

Annual Performance (%)

Date Range: 12/89 - 04/19

Year or YTD

Program

S&P 500

Altegris 40

2019

-3.71

18.24

5.17

2018

-1.69

-4.38

-4.29

2017

-1.44

21.84

1.24

2016

-13.83

11.98

-3.13

2015

0.18

1.41

0.09

2014

24.63

13.69

15.75

2013

-7.34

32.41

-2.45

2012

6.12

15.98

-4.75

2011

-10.76

2.12

-3.23

2010

6.57

15.06

11.33

2009

-14.25

26.45

-7.98

2008

46.26

-36.99

15.47

2007

17.27

5.50

7.18

2006

18.02

15.79

6.70

2005

9.43

4.89

4.51

2004

-13.21

10.87

2.57

2003

34.83

28.69

15.99

2002

-2.39

-22.10

15.22

2001

14.50

-11.88

5.39

2000

17.65

-9.09

10.63

1999

-11.01

21.04

0.87

1998

3.94

28.58

12.61

1997

14.29

33.38

10.22

1996

-2.21

22.96

16.04

1995

21.70

37.57

13.16

1994

-18.38

1.32

-5.46

1993

65.02

10.08

14.66

1992

-32.49

7.65

0.89

1991

3.21

30.47

15.12

1990

187.64

-3.10

37.15

Note: Estimates appear in italics. All performance data is since program inception.

Performance Comparison

Date Range: 12/89 - 04/19

Note: All performance data is since program inception.

Monthly Returns

Date Range: 12/89 - 04/19

Note: All performance data is since program inception.

Distribution of Monthly Returns

Date Range: 12/89 - 04/19

Note: All performance data is since program inception.

Underwater Curve

Date Range: 12/89 - 04/19

Note: All performance data is since program inception.

Underwater Curve

Manager Information

Manager Name:

EMC Capital Advisors LLC

Address:

2201 Waukegan Road
Suite West 240

City:

Bannockburn

State:

IL

Zip:

60015

Country:

USA

Key People

Name:

John C. Krautsack

Position:

Principal

Biography:

John Krautsack, Chairman of EMC Capital Advisors, LLC has over 26 years experience in the futures industry and directs all investment activity at EMC. Mr. Krautsack oversees the research committee which develops EMC’s systematic, technical trend-following trading systems and is responsible for the daily management of the investment portfolio. Mr. Krautsack started his career in the futures industry in 1985 as an assistant to a prominent S&P 500 trader at the Chicago Mercantile Exchange. From 1989 to 1995, he managed trading operations for De Angelis Trading/Crown Capital Management, JPD Enterprises and ALH Capital. He joined EMC in 1995, overseeing trading and managing the portfolio until he assumed the role of Chairman in 2013.

Name:

Brian Proctor

Position:

Principal

Biography:

Brian D. Proctor joined EMC in August 2005 and has served as Managing Director since July 2008, and Vice President, Director ofMarketing since August 2005. Mr. Proctor is active in trading, research, and business development for EMC.Mr. Proctor was employed by Morgan Stanley DWInc. as a Financial Advisor from July
2003 to July 2005 prior to joining EMC.Mr. Proctor holds a B.A. in Economics from Miami of Ohio University, and J.D. from John Marshall Law School. Mr. Proctor became registered as an Associated Person and listed as a Principal of EMC effective November 30, 2005 and July 7, 2008, respectively.

Name:

David F. Polli

Position:

Principal

Biography:

David F. Polli joined EMC in October 2002 and has served as Managing Director, Research since July 2008, Director of Research since January 2006, and Director of IT and Senior Trader since October 2002. Mr. Polli directs research at EMC and is responsible for the design and integration of all trading and research
platforms employed by EMC. Mr. Polli graduated with honors from the Illinois Institute of Technology with a B.S. in Computer and Electrical Engineering. Mr. Polli became registered as an Associated Person and listed as
a Principal of EMC effective March 6, 2003 and July 7, 2008, respectively.

There are substantial risks and conflicts of interests associated with Managed Futures and commodities accounts, and you should only invest risk capital. The success of an investment is dependent
upon the ability of a commodity trading advisor (CTA) to identify profitable investment opportunities and successfully trade. The identification of attractive trading opportunities is difficult, requires skill,
and involves a significant degree of uncertainty. CTAs have total trading authority, and the use of a single CTA could mean a lack of diversification and higher risk. The high degree of leverage often obtainable
in commodity trading can work against you as well as for you, and can lead to large losses as well as gains. Returns generated from a CTA’s trading, if any, may not adequately compensate you
for the business and financial risks you assume. You can lose all or a substantial amount of your investment. If you use notional funding, you may lose more than your initial cash investment. Managed
Futures and commodities accounts may be subject to substantial charges for management and advisory fees. It may be necessary for accounts that are subject to these charges to make substantial
trading profits in order to avoid depletion or exhaustion of their assets. The disclosure document contains a complete description of each fee to be charged to your account by a CTA. CTAs may trade
highly illiquid markets, or on foreign markets, and may not be able to close or offset positions immediately upon request. You may have market exposure even after the CTA has a request for closure or
liquidation. PAST RESULTS ARE NOT NECESSARILY INDICATIVE OF FUTURE RESULTS.